IGV Options History — December 2018

In December 2018, IGV traded between $32.04 and $37.35. ATM implied volatility averaged 34.6%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.5% (HV 20d: 34.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2018-12-20: Highest Volume — 9,310 contracts
  • 2018-12-04: Largest IV spike — 25.1% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.08$32.04$37.35$37.35$34.62
Max Pain$34.52$34.00$36.00$36.00$34.00
ATM IV34.6%25.2%44.0%25.2%37.0%
Expected Move9.7%7.2%12.6%7.2%10.6%
HV 20d34.1%30.0%37.9%36.5%33.9%
HV 60d32.7%31.1%35.5%31.1%35.2%
IV Rank75.5%45.4%100.0%45.4%78.0%
IV Percentile92.5%75.0%100.0%75.0%95.6%
Term Structure-1.5%-4.8%0.1%-1.0%-2.2%
VWIV33.0%26.2%40.6%26.2%38.8%
Skew 25d7.9%4.1%10.0%7.0%10.0%
Skew 10d11.1%-0.2%16.6%11.9%16.5%
Call IV 25d30.0%23.2%38.6%23.2%32.4%
Put IV 25d37.8%30.2%48.1%30.2%42.4%
Bid-Ask Spread %31.3016.1654.4953.5031.14
Gamma HHI0.130.100.180.100.16
Net GEX-1.9M-4.6M266.8K-1.5M266.8K
Net DEX5.4M-18.8M59.1M-18.8M-2.2M
Net VEX-137.7K-167.0K-108.2K-122.7K-113.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.1516.890.152.02
Total Volume3,107.56209,310690680
Total OI38,560.2522,00047,99040,20522,155

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$37.35$36.0025.2%7.2%36.5%45.4%26.2%7.0%-1.0%-1.5M-18.8M-122.7K0.1553.506009013,11527,090
2018-12-04$36.32$36.0031.5%9.0%37.9%67.4%30.2%7.7%-3.2%-2.1M-4.4M-146.9K0.1940.992,29043513,51027,120
2018-12-05$36.28$36.0032.7%9.4%37.9%71.4%31.4%7.9%-3.8%-2.1M-4.2M-144.7K0.1939.292,27543513,51027,120
2018-12-06$36.57$34.4032.0%8.2%34.9%69.0%30.1%8.5%-0.2%-2.0M-9.2M-145.1K0.6217.982,4151,49514,39526,960
2018-12-07$35.87$34.4034.1%8.9%35.4%76.1%33.8%8.9%-1.0%-2.2M-1.2M-167.0K0.4420.954,2501,88515,06528,390
2018-12-10$36.05$34.4035.2%8.9%34.6%80.3%29.1%8.2%-1.0%-2.2M-3.3M-155.2K16.8919.421752,95515,07528,400
2018-12-11$36.11$34.4033.6%8.5%33.1%74.7%27.4%8.5%-1.4%-2.4M-4.0M-160.5K6.8216.162501,70514,99529,945
2018-12-12$36.67$34.4029.3%8.4%33.6%59.4%27.8%7.0%-0.0%-2.0M-12.7M-151.5K4.8320.073551,71515,10030,210
2018-12-13$36.39$34.4028.7%8.2%33.6%57.6%30.0%8.6%-0.1%-2.3M-10.1M-151.7K3.2516.715401,75515,08530,220
2018-12-14$35.41$34.2031.3%9.0%34.3%66.6%31.1%7.2%-0.2%-3.2M5.9M-157.5K2.9818.676451,92015,03030,200
2018-12-17$34.12$34.2034.8%10.0%36.5%78.9%34.3%7.5%-1.5%-3.7M28.0M-147.1K0.3824.3645017015,32030,250
2018-12-18$34.77$34.4033.0%9.5%30.5%72.6%34.5%7.6%-0.6%-4.2M18.5M-140.7K1.7522.291,0101,76515,00530,135
2018-12-19$34.40$34.4034.1%9.8%30.6%76.3%30.5%4.3%0.1%-4.2M21.9M-136.4K0.5954.493,5452,08515,24530,110
2018-12-20$33.83$34.4035.1%10.1%30.0%80.0%31.0%6.1%-0.5%-4.6M33.7M-140.1K0.4633.986,3902,92017,50530,485
2018-12-21$32.67$34.4038.6%11.1%32.3%91.9%36.2%4.1%-0.6%76.3K59.1M-110.2K1.2843.013,3654,30514,45531,370
2018-12-24$32.04$34.0044.0%12.6%31.3%100.0%37.4%9.5%-3.9%-59.2K9.1M-108.2K0.5539.873,1951,75511,18510,815
2018-12-26$33.70$34.0040.0%11.5%37.0%87.5%40.6%9.1%-2.6%79.3K2.8M-117.6K0.2542.8553013511,27510,865
2018-12-27$34.20$34.0042.1%12.1%33.9%94.1%40.2%9.4%-4.8%155.7K32.8K-118.8K0.2536.4965016511,29010,875
2018-12-28$34.33$34.0038.5%11.0%33.9%82.8%39.3%10.0%-1.7%244.1K-1.6M-118.3K0.3233.7464520511,45510,875
2018-12-31$34.62$34.0037.0%10.6%33.9%78.0%38.8%10.0%-2.2%266.8K-2.2M-113.3K2.0231.1422545511,29510,860